Generalized Fokker-Planck equation: derivation and exact solutions

DOI10.1140/EPJB/E2009-00126-3zbMATH Open1188.82050arXiv0808.0274OpenAlexW3101676536WikidataQ58898799 ScholiaQ58898799MaRDI QIDQ977832FDOQ977832

Peter Hänggi, S. I. Denisov, Werner Horsthemke

Publication date: 23 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Abstract: We derive the generalized Fokker-Planck equation associated with the Langevin equation (in the Ito sense) for an overdamped particle in an external potential driven by multiplicative noise with an arbitrary distribution of the increments of the noise generating process. We explicitly consider this equation for various specific types of noises, including Poisson white noise and L'{e}vy stable noise, and show that it reproduces all Fokker-Planck equations that are known for these noises. Exact analytical, time-dependent and stationary solutions of the generalized Fokker-Planck equation are derived and analyzed in detail for the cases of a linear, a quadratic, and a tailored potential.

Full work available at URL: https://arxiv.org/abs/0808.0274

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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